Scientific journal NRU ITMO
Series "Economics and Environmental Management"
Registration certificate ЭЛ № ФС 77 – 55411 от 17.09.2013
registered by the Federal Inspectorate Service for Communication, Information Technologies and Communication Media

December 2018 (published: 27.12.2018)

Number 4(35)

Home > Issue > Calculaition methods for capital adequacy ratio for operational risks

UDC 336.71

Calculaition methods for capital adequacy ratio for operational risks

Sizova T.M.

The large financial losses suffered by the world banking community, including Russian banks, as a result of the economic crisis of 2008–2009, as well as the crisis in Russia in 2014 showed the presence of a significant number of not entirely solved problems in bank risk management. These include the problems of operational risk management. In operational risk management, one of the important questions is the justification of the standard of the minimum sufficient level of capital to cover operational risks. In the Russian Federation, capital allocated for operational risk is calculated on the basis of the simplest one recommended by the Basel Committee on Banking Supervision – the basic indicative approach (BIA, Basic Indicator Approach), which sometimes leads to an overestimation of capital needed. In the banking practice of economically developed countries, approaches and methods are used to reduce standard requirements by taking into account the specifics of financial institutions, the nature of operational risks, adopted procedures for controlling and minimizing risks, etc. The article discusses more advanced approach to estimate the capital needed top cover operational risk, AMA (Advanced Measurement Approach) and possible implementation of it, which might include usage of «maximum in block» method and the «peaks above the threshold» method, which allow for descriptionsof statistical with heavy tails and further aggregating loss calculations based on the Monte Carlo method.
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Keywords: operational risk, Basel II, Advanced Measurement Approach, Loss Distribution Approach, peak above the threshold, aggregated loss calculations.

DOI 10.17586/2310-1172-2018-11-4-17-24

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